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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Cross-border bank contagion in Europe
Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2006
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …
Persistent link: https://www.econbiz.de/10011604708
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Cross-Border Bank Contagion in Europe
Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2007
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a …. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction … of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification. …
Persistent link: https://www.econbiz.de/10010263325
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The impact of the euro on equity markets: a country and sector decomposition
Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008
This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity...
Persistent link: https://www.econbiz.de/10011604952
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An Empirical Investigation of the Colombian Stock Market Reaction to the US Market : Evidence from a Casewise Bootstrap Approach
Hatemi-J, Abdulnasser - 2014
This paper empirically investigates the effect of returns in the US on the returns in Colombia during 1988-2007. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings indicate that the Colombian financial market is...
Persistent link: https://www.econbiz.de/10013039863
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COVID-19 and cross-border contagion : trade and financial flows
Louati, Achraf; Firano, Zakaria; Adib, Fatine Filali - In: Research in globalization 4 (2022), pp. 1-9
In this article, we examine the effects of the COVID-19 pandemic on the dynamics of contagion in the economic and … financial spheres. The objective of the article is to confirm that the systemic nature of contagion risk is greater in extreme … situations than in normal situations. Through this study we want to highlight the nature of contagion and the transmission of …
Persistent link: https://www.econbiz.de/10013263021
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
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Role of FIIs in Indian Capital Market
Mishra, P. K. - 2009
Until the 1980s, there was a general disinclination towards foreign investment or private commercial flows as India's development strategy was focused on self-reliance and import substitution and current account deficits were financed largely through debt flows and official development...
Persistent link: https://www.econbiz.de/10013159171
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The impact of the euro on money and bond markets
Santillán, Javier; Bayle, Marc; Thygesen, Christian - 2000
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...
Persistent link: https://www.econbiz.de/10011606153
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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and co-movements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries'...
Persistent link: https://www.econbiz.de/10010272745